Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0155
Annualized Std Dev 0.2492
Annualized Sharpe (Rf=0%) 0.0622

Row

Daily Return Statistics

Close
Observations 4252.0000
NAs 1.0000
Minimum -0.1719
Quartile 1 -0.0054
Median 0.0009
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0067
Maximum 0.2123
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0157
Skewness -0.8082
Kurtosis 27.1744

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0110
Loss Deviation 0.0142
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.7520
Historical VaR (95%) -0.0216
Historical ES (95%) -0.0393
Modified VaR (95%) -0.0204
Modified ES (95%) -0.0204
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.7520 3369 339 NA
2007-07-13 2007-08-16 2007-10-09 -0.2416 62 25 37
2004-06-07 2004-08-09 2004-12-28 -0.1569 142 44 98
2006-05-11 2006-06-14 2006-10-24 -0.1419 116 24 92
2006-12-18 2007-03-05 2007-04-09 -0.1275 75 51 24

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA 0 0.1 1.8 1.2 2 1 0.9 0 0.6 7.7
2005 1.1 -0.6 2 0.5 1.1 0.5 0.4 1.8 -0.3 0.9 0.8 0 8.5
2006 -0.2 0.9 0.5 0.6 1.8 1.2 -0.3 0.5 0.8 -0.2 0.3 1.8 8.1
2007 0.1 -0.5 0.9 -0.1 1.1 0.1 -0.4 1.9 0.3 -1.9 1.6 1.6 4.9
2008 1.6 -1.3 2.8 0.6 0.2 -0.3 0.3 -0.6 1.1 3.7 -6.8 3.7 4.6
2009 -2.2 -2.2 2.2 1.4 3.9 1.6 0.7 -3.7 -1.5 -5.1 0.7 -1 -5.5
2010 1.7 1.2 0.6 -0.5 -1.1 -1 0.4 2.5 1.1 0 1.5 0.1 6.5
2011 1.1 -0.1 0.4 0.5 -1.9 1.4 -0.1 -0.6 -3 -3 0 0.7 -4.6
2012 1.3 0.6 0.4 0.5 -2.6 2.7 -0.4 0.6 0.6 1.4 0.3 1 6.5
2013 0.5 0.8 -0.4 -0.3 -4.6 1.2 0.9 -0.2 0.7 0.9 0.4 -0.2 -0.6
2014 -0.7 0.5 0.5 0.4 0.3 0.3 -0.7 0.4 -1.2 1.9 -0.6 -1.7 -0.8
2015 -1 0 0.2 0 -0.1 1.2 0.5 -1.3 0.2 0 0.4 -1.1 -1
2016 1.1 1.9 0.6 -0.5 -0.1 0.3 -0.7 -0.6 0 -0.5 0.1 0.1 1.7
2017 0.7 1.3 -0.2 0.2 0.1 0.2 0.2 0.2 1 -0.2 -0.3 0.2 3.4
2018 -0.5 -1.1 0.4 -0.1 0.4 0.2 -0.3 -0.3 -0.2 1.9 0.4 1.2 2
2019 0.3 0.7 0.9 0 -1.3 -0.4 -0.4 -0.5 -0.1 0 -0.9 0.1 -1.7
2020 -1.2 -2.2 -8.1 -2.8 0.3 0.1 -0.1 0 0.4 -1.2 2 0.2 -12.1
2021 1.4 2.3 0.9 NA NA NA NA NA NA NA NA NA 4.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-04-28  20   SPY    113. -0.0129   0.0013   0.002  -4.90e-3    0.229  -0.0771   -0.169 <NA>     NA    NA       NA
2 2004-04-29  20   SPY    112. -0.0088  -0.0212  -0.0101 -1.45e-2    0.217  -0.0802   -0.181 <NA>     NA    NA       NA
3 2004-04-30  20   SPY    111. -0.0078  -0.0297  -0.0189 -2.22e-2    0.207  -0.0991   -0.192 <NA>     NA    NA       NA
4 2004-05-03  20.0 SPY    112.  0.0107  -0.018   -0.0143 -1.60e-2    0.203  -0.0935   -0.172 <NA>     NA    NA       NA
5 2004-05-04  20   SPY    112. -0.0008  -0.0196  -0.0225 -1.51e-2    0.205  -0.109    -0.166 <NA>     NA    NA       NA
6 2004-05-05  20   SPY    113.  0.0064  -0.0004  -0.0216 -6.00e-4    0.201  -0.0971   -0.154 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart